Just to expand on that slightly - it is virtually impossible to get an initial issue licence in a JAA member state, as anything other than a JAA licence. Most national licences have gone the way of the dodo in Europe.
ICAO does set a de facto standard for licencing, so it does have some (admittedly little) meaning. An Australian licence is, by definition, an ICAO licence.
If you hold an Australian issued licence and you want to work in Europe, then you will ordinarily be required to first obtain a national licence or if applicable a JAA licence from the national authority concerned.
Not strictly true. There are plenty of non-Euro pilots flying in Europe on validations, for example all the American Mesaba pilots that went to Cityjet. A validation is generally the first port of call. As previously explained, you won't be able to obtain a national licence, it will have to be a JAA one.
Funnily enough, Australia will happily issue you with an Aussie ATPL if you hold an ICAO ATPL of any description. There are one or two exams, mostly law/instrument law, but no flight test. I didn't believe it until I tried it.